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題名:公司股票價格、每股盈餘與隱含價格之追蹤資料分析:以1957年來皆存在S&P500的公司為例
作者:賴藝文 引用關係
作者(外文):Yih-Wenn Laih
校院名稱:國立雲林科技大學
系所名稱:管理研究所博士班
指導教授:李春安
學位類別:博士
出版日期:2009
主題關鍵詞:追蹤資料共整合分析資金成本剩餘損益模型Panel cointegrationcost of equityresidual income model
原始連結:連回原系統網址new window
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本研究利用異質性追蹤資料以1957年來皆存在S&P500的公司為樣本,研究期間涵蓋1992年至2006年年底,以季資料探討公司每股股票價格、每股盈餘與隱含價格的長期動態關係。其中,隱含價格的估計利用隨時間變化與包含個別公司特性的剩餘損益模型(RIM)。首先,利用Pedroni(2004)組間PP統計量及組間ADF統計量檢定三變數間長期共整合關係的存在與否。接者,利用FMOLS與傳統panel LS來估計公司長期共整合關係的組成,並比較不同股價衡量變數與不同隱含價格估計變數間的績效。實證結果發現:(1)股票價格、每股盈餘與隱含價格三者間長期存在一個共整合關係;(2)在每季季報公布月底之公司股票價格包含了最多公司基本面訊息;(3)以5年的月資料計算資金成本的隱含價格比以12星期的日資料計算資金成本的隱含價格對長期股票價格更具有價值攸關性;(4) 每股盈餘與隱含價格共同解釋了70%以上長期股票價格;(5)折現率訊息與分析師預期訊息解釋大部分長期股價行為。
This study examines the relation between stock prices, earnings per share (EPS) and implicit prices, the latter calculated by a time-varying residual income model (RIM) for firms in S&P 500 since 1957. Using a panel version of various cointegration tests, we first test presence of a long-term contemporaneous relation between the variables, using matched quarterly panel data during 1992Q1-2006Q4. We estimate a long-term relation and compare performance of alternative measures of stock prices and alternative estimates of implicit prices to find: (1) stock prices cointegrated with EPS and implicit prices with a single cointegrating vector; (2) stock price at the end of the month when actual quarterly earnings are announced as the best measure; (3) implicit price calculated by the firm-specific discount rate using five years of monthly data, as opposed to twelve weeks of daily data, offering best estimate; (4) EPS and implicit prices explaining over 70% of stock prices’ long-run behavior; and (5) discount-rate news and analyst-forecast-based predictions explaining a significant fraction of the long-term behavior of stock prices.
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